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On the predictive content of technical analysis

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  • Reitz, Stefan

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Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 17 (2006)
Issue (Month): 2 (August)
Pages: 121-137

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Handle: RePEc:eee:ecofin:v:17:y:2006:i:2:p:121-137

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Web page: http://www.elsevier.com/locate/inca/620163

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  1. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance, EconWPA 9411002, EconWPA.
  2. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 11(3), pages 304-314, June.
  3. Peel, David & Sarno, Lucio & Taylor, Mark P, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2658, C.E.P.R. Discussion Papers.
  4. Hans Dewachter, 1997. "Sign predictions of exchange rate changes: Charts as proxies for Bayesian inferences," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 133(1), pages 39-55, March.
  5. Robert B. Barsky & J. Bradford De Long, 1992. "Why Does the Stock Market Fluctuate?," NBER Working Papers 3995, National Bureau of Economic Research, Inc.
  6. Banerjee, Abhijit V, 1992. "A Simple Model of Herd Behavior," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 107(3), pages 797-817, August.
  7. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, Elsevier, vol. 12(5), pages 451-474, October.
  8. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, Elsevier, vol. 28(3-4), pages 315-332, May.
  9. Lewis, Karen K., 1995. "Puzzles in international financial markets," Handbook of International Economics, Elsevier, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 37, pages 1913-1971 Elsevier.
  10. Michael Dueker & Christopher J. Neely, 2006. "Can Markov switching models predict excess foreign exchange returns?," Working Papers, Federal Reserve Bank of St. Louis 2001-021, Federal Reserve Bank of St. Louis.
  11. Dewachter, Hans, 2001. "Can Markov switching models replicate chartist profits in the foreign exchange market?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 20(1), pages 25-41, February.
  12. Charles Engel, 1991. "Can the Markov switching model forecast exchange rates?," Research Working Paper, Federal Reserve Bank of Kansas City 91-04, Federal Reserve Bank of Kansas City.
  13. Cars H. Hommes, 2001. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," Tinbergen Institute Discussion Papers 01-014/1, Tinbergen Institute.
  14. Vigfusson, Robert, 1997. "Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 2(4), pages 291-305, October.
  15. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers, Wisconsin Madison - Social Systems 90-22, Wisconsin Madison - Social Systems.
  16. Lewis, Karen K, 1989. "Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange," American Economic Review, American Economic Association, American Economic Association, vol. 79(4), pages 621-36, September.
  17. Kirman, Alan, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 108(1), pages 137-56, February.
  18. Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(1), pages 33-53, February.
  19. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, American Finance Association, vol. 58(5), pages 1791-1820, October.
  20. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 65-91, March.
  21. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, American Finance Association, vol. 56(2), pages 699-720, 04.
  22. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 33(2), pages 143-165, January.
  23. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, American Economic Association, vol. 80(4), pages 689-713, September.
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Cited by:
  1. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 602-623.
  2. Repkine, Alexandre, 2008. "Charting Technical Trading Rules and the Lottery of Technical Analysis: Empirical Evidence from Foreign Exchange Market," MPRA Paper 7849, University Library of Munich, Germany.
  3. Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 578-586.

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